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Switching connectedness between real estate investment trusts, oil, and gold markets

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  • Mensi, Walid
  • Reboredo, Juan C.
  • Ugolini, Andrea
  • Vo, Xuan Vinh

Abstract

We study price-switching spillovers between real estate investment trusts (REITs), oil, and gold markets by considering high- and low-volatility regimes as described by Markov-switching vector autoregression. Empirical results for different REIT markets indicate that gold (oil) has a lower (higher) impact on REITs in a high-volatility regime than in a low-volatility regime. Furthermore, in a low-volatility regime, gold and oil are net spillover contributors to REITs, while in a high-volatility regime, REITs are net spillover contributors. Price spillovers are time-varying, and climb during the early COVID-19 pandemic period and in early 2022.

Suggested Citation

  • Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea & Vo, Xuan Vinh, 2022. "Switching connectedness between real estate investment trusts, oil, and gold markets," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003361
    DOI: 10.1016/j.frl.2022.103112
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    References listed on IDEAS

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    Cited by:

    1. Walid Mensi & Zhuhua Jiang & Xuan Vinh Vo & Seong‐Min Yoon, 2023. "Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets," Australian Economic Papers, Wiley Blackwell, vol. 62(4), pages 597-615, December.
    2. Sheng, Lin Wen & Uddin, Gazi Salah & Sen, Ding & Hao, Zhu Shi, 2024. "The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference," International Review of Financial Analysis, Elsevier, vol. 91(C).
    3. Hanif, Waqas & Andraz, Jorge Miguel & Gubareva, Mariya & Teplova, Tamara, 2024. "Are REITS hedge or safe haven against oil price fall?," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1-16.
    4. Abdullah, Mohammad & Adeabah, David & Abakah, Emmanuel Joel Aikins & Lee, Chi-Chuan, 2023. "Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications," Finance Research Letters, Elsevier, vol. 56(C).

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    More about this item

    Keywords

    REITs; Oil; Gold; Connectedness; Price spillovers; MS-VAR model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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